feat(signal): M8.1 交易信号引擎(规则 + signal_event 落库 + /api/signals)

- SignalRules(买入 rank 阈值/趋势 MA/动量 + 卖出区间/破位警示)+ SignalEvent
  (BUY/WATCH/SELL,score/price/trigger_reason 可解释)+ SignalResult/Meta
- quant/signal.generate_signals:与选股同一评分引擎取全市场 rank,按规则分类输出
- signal_snapshot/signal_event 表(migration d8e0b2f3c4d5,MySQL 已应用)+ Repo
- SignalService + POST /api/signals(同步+落库)、GET 详情/列表
- tests/test_signals.py(引擎分类/排序/破位不 BUY、service、API 提交读回);全量 pytest 通过
This commit is contained in:
Simon
2026-09-09 00:35:37 +08:00
parent ef09d5b419
commit ba52edc2d6
12 changed files with 715 additions and 0 deletions
+18
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@@ -11,6 +11,7 @@ from fastapi import Depends
from sqlalchemy.orm import Session
from app.application.services.selection_service import SelectionService
from app.application.services.signal_service import SignalService
from app.domain.repositories.composite import CompositeRepository
from app.domain.repositories.factor import FactorRepository
from app.domain.repositories.jobs import ExperimentRepository, JobRepository
@@ -20,6 +21,7 @@ from app.domain.repositories.market import (
StockRepository,
)
from app.domain.repositories.selection import SelectionRepository
from app.domain.repositories.signal import SignalRepository
from app.infrastructure.persistence.sqlalchemy.repositories.composite_impl import (
SqlAlchemyCompositeRepository,
)
@@ -34,6 +36,9 @@ from app.infrastructure.persistence.sqlalchemy.repositories.market_impl import (
from app.infrastructure.persistence.sqlalchemy.repositories.selection_impl import (
SqlAlchemySelectionRepository,
)
from app.infrastructure.persistence.sqlalchemy.repositories.signal_impl import (
SqlAlchemySignalRepository,
)
from app.infrastructure.persistence.sqlalchemy.session import get_session
from app.quant.engine import LocalEngine, QuantEngine
from app.quant.service import ResearchService
@@ -65,6 +70,13 @@ def _service_factory(
return ResearchService(stock_repo, daily_repo, engine)
def _signal_service_factory(
stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
) -> SignalService:
return SignalService(stock_repo, daily_repo)
def _selection_service_factory(
stock_repo: Annotated[StockRepository, Depends(_stock_repo_factory)],
daily_repo: Annotated[DailyBarRepository, Depends(_daily_repo_factory)],
@@ -86,6 +98,10 @@ def _composite_repo_factory(session: DbSession) -> CompositeRepository:
return SqlAlchemyCompositeRepository(session)
def _signal_repo_factory(session: DbSession) -> SignalRepository:
return SqlAlchemySignalRepository(session)
StockRepoDep = Annotated[StockRepository, Depends(_stock_repo_factory)]
DailyRepoDep = Annotated[DailyBarRepository, Depends(_daily_repo_factory)]
EngineDep = Annotated[QuantEngine, Depends(_engine_factory)]
@@ -94,6 +110,8 @@ SelectionServiceDep = Annotated[SelectionService, Depends(_selection_service_fac
SelectionRepoDep = Annotated[SelectionRepository, Depends(_selection_repo_factory)]
FactorRepoDep = Annotated[FactorRepository, Depends(_factor_repo_factory)]
CompositeRepoDep = Annotated[CompositeRepository, Depends(_composite_repo_factory)]
SignalRepoDep = Annotated[SignalRepository, Depends(_signal_repo_factory)]
SignalServiceDep = Annotated[SignalService, Depends(_signal_service_factory)]
def _job_repo_factory(session: DbSession):
+2
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@@ -17,6 +17,7 @@ from app.api import (
jobs,
research,
selections,
signals,
stocks,
)
@@ -27,6 +28,7 @@ api_router.include_router(factors.router)
api_router.include_router(composites.router)
api_router.include_router(research.router)
api_router.include_router(selections.router)
api_router.include_router(signals.router)
api_router.include_router(jobs.router)
api_router.include_router(experiments.router)
api_router.include_router(agent.router)
+65
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@@ -0,0 +1,65 @@
"""交易信号 API(M8.1):提交/查询信号(落库可复现)。
POST /api/signals body: {query: SelectionQuery, rules?: SignalRules}
GET /api/signals/{id} 读回某次信号
GET /api/signals 历史信号元数据(可过滤 as_of)
"""
from __future__ import annotations
from datetime import date
from typing import Annotated
from fastapi import APIRouter, HTTPException, Query
from pydantic import BaseModel
from app.api.deps import DbSession, SignalRepoDep, SignalServiceDep
from app.application.services.job_executor import new_id
from app.domain.entities.selection import SelectionQuery
from app.domain.entities.signal import SignalMeta, SignalResult, SignalRules
router = APIRouter(prefix="/signals", tags=["signals"])
_AsOfQuery = Annotated[date | None, Query(description="按信号时点过滤")]
_LimitQuery = Annotated[int, Query(ge=1, le=200)]
class SignalRequest(BaseModel):
query: SelectionQuery
rules: SignalRules = SignalRules()
class SignalRun(BaseModel):
signal_id: str
result: SignalResult
@router.post("", response_model=SignalRun, summary="生成一次交易信号(同步)并落库")
def run_signal(
req: SignalRequest,
service: SignalServiceDep,
signal_repo: SignalRepoDep,
session: DbSession,
) -> SignalRun:
result = service.signal(req.query, req.rules)
signal_id = new_id("SIG")
signal_repo.save(signal_id, result)
session.commit()
return SignalRun(signal_id=signal_id, result=result)
@router.get("/{signal_id}", response_model=SignalResult, summary="读回一次信号结果")
def get_signal(signal_id: str, signal_repo: SignalRepoDep) -> SignalResult:
result = signal_repo.get(signal_id)
if result is None:
raise HTTPException(status_code=404, detail=f"信号记录 {signal_id} 不存在")
return result
@router.get("", response_model=list[SignalMeta], summary="历史信号元数据列表")
def list_signals(
signal_repo: SignalRepoDep,
as_of: _AsOfQuery = None,
limit: _LimitQuery = 20,
) -> list[SignalMeta]:
return signal_repo.list_recent(as_of=as_of, limit=limit)